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作者：Dimopoulos, Theodosios; Sacchetto, Stefano
作者单位：University of Lausanne; Swiss Finance Institute (SFI); University of Lausanne; University of Navarra; IESE Business School
摘要：We quantify the impact of merger activity on productive efficiency. We develop and calibrate a dynamic industry-equilibrium model that features mergers, entry, and exit by heterogeneous firms. Mergers affect productivity directly through realized synergies, and indirectly through firms' incentives to enter or exit the industry. Merger activity increases average firm productivity by 4.8%, of which 4.1% reflects the accumulation of synergies, and 0.7% the interaction between merger options and f...
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作者：Baruch, Shmuel; Panayides, Marios; Venkataraman, Kumar
作者单位：Utah System of Higher Education; University of Utah; Pennsylvania Commonwealth System of Higher Education (PCSHE); University of Pittsburgh; Southern Methodist University
摘要：Stock prices incorporate less news before negative events than positive events. Further, informed agents use less price aggressive (limit) orders before negative events and more price aggressive (market) orders before positive events (buy-sell asymmetry). Motivated by these patterns, we model the execution risk that informed agents impose on each other and relate the asymmetry to costly short selling. When investor base is narrow, security borrowing is difficult, or the magnitude of the event ...
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作者：Blanco, Ivan; Wehrheim, David
作者单位：CUNEF Universidad; Universidad Carlos III de Madrid; University of Navarra; IESE Business School
摘要：Do financial derivatives enhance or impede innovation? We answer this question by examining the relationship between equity options markets and standard measures of firm innovation. We find that firms with more options trading activity generate more patents and patent citations per dollar invested in research and development (R&D), after accounting for other confounding factors. These results are confirmed when we use a propensity score matching procedure and an instrumental variable approach ...
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作者：Lee, Charles M. C.; So, Eric C.
作者单位：Stanford University; Massachusetts Institute of Technology (MIT)
摘要：We show that analyst coverage proxies contain information about expected returns. We decompose analyst coverage into abnormal and expected components using a simple characteristic-based model and show that firms with abnormally high analyst coverage subsequently outperform firms with abnormally low coverage by approximately 80 basis points per month. We also show abnormal coverage rises following exogenous shocks to underpricing and predicts improvements in firms' fundamental performance, sugg...
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作者：Londono, Juan M.; Zhou, Hao
作者单位：Federal Reserve System - USA; Federal Reserve System Board of Governors; Tsinghua University; Tsinghua University
摘要：We provide new empirical evidence that world currency and U.S. stock variance risk premiums have nonredundant and significant predictive power for the appreciation rates of 22 with respect to the U.S. dollar, especially at the four-month and one-month horizons, respectively. The heterogeneous exposures of currencies to the currency variance risk premium are systematically rising along the line of inflation risk. We rationalize these findings in a consumption-based asset pricing model, with loc...
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作者：Di Maggio, Marco; Kacperczyk, Marcin
作者单位：Harvard University; National Bureau of Economic Research; Imperial College London; Centre for Economic Policy Research - UK
摘要：We study the impact of the zero lower bound interest rate policy on the industrial organization of the U.S. money fund industry. We find that in response to policies that maintain low interest rates, money funds: change their product offerings by investing in riskier asset classes; are more likely to exit the market; and reduce the fees they charge their investors. The consequence of fund closures resulting from interest rate policy is the relocation of resources in affected fund families and ...
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作者：Manela, Asaf; Moreira, Alan
作者单位：Washington University (WUSTL); Yale University
摘要：We construct a text-based measure of uncertainty starting in 1890 using front-page articles of the Wall Street Journal. News implied volatility (NVIX) peaks during stock market crashes, times of policy-related uncertainty, world wars, and financial crises. In US postwar data, periods when NVIX is high are followed by periods of above average stock returns, even after controlling for contemporaneous and forward-looking measures of stock market volatility. News coverage related to wars and gover...
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作者：Hartman-Glaser, Barney
作者单位：University of California System; University of California Los Angeles
摘要：Static adverse selection models of security issuance show that informed issuers can perfectly reveal their private information by maintaining a costly stalce in the securities they issue. This paper shows that allowing an issuer to both signal current security quality via retention and build a reputation for honesty leads that issuer to misreport quality even when owning a positive stake, that is, the equilibrium is neither separating nor pooling. An issuer retains less as reputation improves ...
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作者：Cortes, Kristle Romero; Strahan, Philip E.
作者单位：Federal Reserve System - USA; Federal Reserve Bank - Cleveland; Boston College; National Bureau of Economic Research
摘要：Multi-market banks reallocate capital when local credit demand increases after natural disasters. Using property damage as an instrument for lending growth, we find credit in unaffected but connected markets declines by a little less than 50 cents per dollar of additional lending in shocked areas. However, banks shield their core markets because most of the decline comes from loans in areas where banks do not own branches. Moreover, banks increase sales of more-liquid loans and they bid up the...
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作者：Calomiris, Charles W.; Larrain, Mauricio; Liberti, Jose; Sturgess, Jason
作者单位：Columbia University; National Bureau of Economic Research; DePaul University; Northwestern University
摘要：We demonstrate the central importance of creditors' ability to use movable assets as collateral (as distinct from immovable real estate) when borrowing from banks. Using a unique cross-country micro-level loan data set containing loan-to-value ratios for different assets, we find that loan-to-values of loans collateralized with movable assets are lower in countries with weak collateral laws, relative to immovable assets, and that lending is biased toward the use of immovable assets. Using sect...
